Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Summary of significant inputs in liability valuation

The significant inputs that are included in the valuation of the Debt derivative liability - first tranche include:

	June 30, 2022			December 31, 2021
Input
Remaining term (years)	5			5.5
Maturity date	June 30, 2027			June 30, 2027
Coupon rate	9.50	%		9.50	%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	14.4%		(1)	10.72%		(1)
Probability of mandatory prepayment before 2024	5.0	%	(1)	5.0	%	(1)
Estimated timing of mandatory prepayment event before 2024	December 31, 2023		(1)	December 31, 2023		(1)
Probability of mandatory prepayment 2024 or after	15.0	%	(1)	15.0	%	(1)
Estimated timing of mandatory prepayment event 2024 or after	March 31, 2026		(1)	March 31, 2026		(1)
Probability of optional prepayment event	5.0	%	(1)	5.0	%	(1)
Estimated timing of optional prepayment event	December 31, 2025		(1)	December 31, 2025		(1)

(1)Represents a significant unobservable input

The significant inputs that are included in the valuation of the Debt derivative liability - second tranche include:

	June 30, 2022			December 31, 2021
Input
Remaining term (years)	6			6.5
Maturity date	June 30, 2028			June 30, 2028
Coupon rate	9.5%			9.5%
Revenue participation payments	Maximum each year			Maximum each year
Discount rate	17.6	%	(1)	13.21	%	(1)
Probability of mandatory prepayment before 2024	5.0%		(1)	5.0%		(1)
Estimated timing of mandatory prepayment event before 2024	December 31, 2023		(1)	December 31, 2023		(1)
Probability of mandatory prepayment 2024 or after	15.0%		(1)	15.0%		(1)
Estimated timing of mandatory prepayment event 2024 or after	March 31, 2026		(1)	March 31, 2026		(1)
Probability of optional prepayment event	5.0%		(1)	5.0%		(1)
Estimated timing of optional prepayment event	December 31, 2025		(1)	December 31, 2025		(1)

(1)Represents a significant unobservable input

Summary of fair value financial assets measured on a recurring basis

The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of June 30, 2022, classified in accordance with the fair value hierarchy (in thousands):

	Fair Value Measurements Using
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds	$	6,057	$	—	$	—	$	6,057
U.S. government securities	17,920		—		—		17,920
Commercial paper	—		28,289		—		28,289
Total assets	$	23,977	$	28,289	$	—	$	52,266
Liabilities
Debt derivative liabilities	—		—		4,876		4,876
Total liabilities	$	—	$	—	$	4,876	$	4,876

The following table presents the financial assets and liabilities that the Company measured at fair value on a recurring basis as of December 31, 2021, classified in accordance with the fair value hierarchy (in thousands):

	Fair Value Measurements Using
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds	$	22,012	$	—	$	—	$	22,012
U.S. government securities	12,081		—		—		12,081
Commercial paper	—		39,249		—		39,249
Total assets	$	34,093	$	39,249	$	—	$	73,342
Liabilities
Debt derivative liabilities	$	—	—		$	5,562	$	5,562
Total liabilities	$	—	$	—	$	5,562	$	5,562

Schedule of fair value instruments classified Level 3

The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and six months ended June 30, 2022, were as follows (in thousands):

Three Months Ended June 30, 2022
Beginning Balance, April 1, 2022	$	5,310
Change in fair value included in net loss	(434)
Ending Balance, June 30, 2022	$	4,876

Six Months Ended June 30, 2022
Beginning Balance, January 1, 2022	$	5,562
Change in fair value included in net loss	(686)
Ending Balance, June 30, 2022	$	4,876

The changes in Level 3 liabilities measured at fair value on a recurring basis for the three and six months ended June 30, 2021, were as follows (in thousands):

Three Months Ended June 30, 2021
Beginning Balance, April 1, 2021	39,205
Addition of Oberland Facility - second tranche	13,827
Addition of debt derivative - second tranche	1,173
Change in fair value of Oberland Facility	150
Change in fair value of debt derivative	84
Ending Balance, June 30, 2021	$	54,439

Six Months Ended June 30, 2021
Beginning Balance, January 1, 2021	$	39,352
Addition of Oberland Facility - second tranche	13,827
Addition of debt derivative - second tranche	1,173
Change in fair value of Oberland Facility	(18)
Change in fair value of debt derivative	105
Ending Balance June 30, 2021	$	54,439